Abstract
The optimal control of a partially observed diffusion is discussed when the control parameter is present in both the drift and diffusion coefficients. Using a differentiation result of Btagovescenskii and
Freidlin, and adapting techniques of Bensoussan, we obtain a stochastic
minimum principle.
Freidlin, and adapting techniques of Bensoussan, we obtain a stochastic
minimum principle.
| Original language | English |
|---|---|
| Pages (from-to) | 485-501 |
| Journal | Journal of Optimization Theory and Applications |
| Volume | 71 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 1991 |
| Externally published | Yes |
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Elliott, R., & Yang, H. (1991). Control of Partially Observed Diffusions. Journal of Optimization Theory and Applications, 71(3), 485-501. https://doi.org/10.1007/BF00941399